相关论文: Stock Return Prediction based on a Functional Capi…

In this paper, we describe two approaches to model the behavior of stock prices. The first approach considers the underlying probability distribution of day-to-day price differences. The second approach models the movement of the price as a…

We propose a novel approach to sentiment data filtering for a portfolio of assets. In our framework, a dynamic factor model drives the evolution of the observed sentiment and allows to identify two distinct components: a long-term…

We study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural networks -- both feedforward and long short-term memory (LSTM)…

The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…

In supervised learning, the output variable to be predicted is often represented as a function, such as a spectrum or probability distribution. Despite its importance, functional output regression remains relatively unexplored. In this…

We place ourselves in a functional regression setting and propose a novel methodology for regressing a real output on vector-valued functional covariates. This methodology is based on the notion of signature, which is a representation of a…

We present a method for estimating sparse high-dimensional inverse covariance and partial correlation matrices, which exploits the connection between the inverse covariance matrix and linear regression. The method is a two-stage estimation…

In this study, we introduce new estimation methods for the required rate of return of the stochastic dividend discount model (DDM) and the private company valuation model, which will appear below. To estimate the required rate of return, we…

Covariate-adaptive randomization (CAR) procedures are frequently used in comparative studies to increase the covariate balance across treatment groups. However, because randomization inevitably uses the covariate information when forming…

In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of…

We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…

Conformal prediction (CP) is a wrapper around traditional machine learning models, giving coverage guarantees under the sole assumption of exchangeability; in classification problems, for a chosen significance level $\varepsilon$, CP…

In today's complex and volatile financial market environment, risk management of multi-asset portfolios faces significant challenges. Traditional risk assessment methods, due to their limited ability to capture complex correlations between…

Functional principal component analysis has been shown to be invaluable for revealing variation modes of longitudinal outcomes, which serves as important building blocks for forecasting and model building. Decades of research have advanced…

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…

Training a practical and effective model for stock selection has been a greatly concerned problem in the field of artificial intelligence. Even though some of the models from previous works have achieved good performance in the U.S. market…

This paper seeks to forecast intraday volatility curves for major foreign exchange (FX) currencies using functional GARCH models. Intraday return curves are observed at a daily frequency, yet preserve the full high-frequency trading…

In the analysis of commodity futures, it is commonly assumed that futures prices are driven by two latent factors: short-term fluctuations and long-term equilibrium price levels. In this study, we extend this framework by introducing a…

We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation is imposed on the observed functional processes, whereas a…

This article considers to model large-dimensional matrix time series by introducing a regression term to the matrix factor model. This is an extension of classic matrix factor model to incorporate the information of known factors or useful…